What changed in this filing

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Item 9A. Controls and Procedures

2026-03-31 compared with 2025-03-28 · 1117 added, 1218 removed, 809 unchanged (74% of the section changed)

2 unchanged sentences

Under the supervision and with the participation

of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of

the Trust’s and the Funds’ disclosure controls and procedures, and the principal executive officer and principal financial

officer have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e)

under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2024, to provide

reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf

of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules

and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal

financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the

Trust’s and the Funds’ disclosure controls and procedures, and the principal executive officer and principal financial officer

have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under

the Securities Exchange Act of 1934, as amended (the “1934 Act”) were effective, as of December 31, 2025, to provide reasonable

assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the

Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms,

and that such information is accumulated and communicated to management, including the principal executive officer and principal financial

officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

Management’s Annual Report on Internal Control Over Financial

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or the Funds’ financial statements.

Because of its inherent limitations, internal

control over financial reporting may not prevent or detect misstatements.

Also, projections of any evaluation of effectiveness to future

periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance

with the policies or procedures may deteriorate.

Management, including the principal executive

officer and principal financial officer of the Trust, assessed the effectiveness of the Trust’s and the Funds’ internal control

over financial reporting as of December 31, 2024.

Their assessment included an evaluation of the design of the Trust’s and the

Funds’ internal control over financial reporting and testing of the operational effectiveness of their internal control over financial

In making its assessment, the Trust’s management has utilized the criteria set forth by the Committee of Sponsoring

Organizations of the Treadway Commission (COSO) in its report entitled Internal Control – Integrated Framework (2013) .

on their assessment and those criteria, management, including the principal executive officer and principal financial officer of the

Trust, concluded that the Trust’s and the Funds’ internal control over financial reporting was effective as of December 31,

Because of its inherent limitations, internal control

over financial reporting may not prevent or detect misstatements.

Also, projections of any evaluation of effectiveness to future periods

are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the

policies or procedures may deteriorate.

Management, including the principal executive officer

and principal financial officer of the Trust, assessed the effectiveness of the Trust’s and the Funds’ internal control over

financial reporting as of December 31, 2025.

Their assessment included an evaluation of the design of the Trust’s and the Funds’

internal control over financial reporting and testing of the operational effectiveness of their internal control over financial reporting.

In making its assessment, the Trust’s management has utilized the criteria set forth by the Committee of Sponsoring Organizations

of the Treadway Commission (COSO) in its report entitled Internal Control – Integrated Framework (2013) .

Based on their assessment

and those criteria, management, including the principal executive officer and principal financial officer of the Trust, concluded that

the Trust’s and the Funds’ internal control over financial reporting was effective as of December 31, 2025.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or

the Funds’ internal control over financial reporting that occurred during the year ended December 31, 2024 that have materially

affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

There were no changes in the Trust’s or the

Funds’ internal control over financial reporting that occurred during the year ended December 31, 2025 that have materially affected,

or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive

Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which

are filed or furnished as exhibits to this Annual Report on Form 10-K, apply both to the Trust taken as a whole and each Fund, and the

Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each

The certifications by the Principal Executive Officer

and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed

or furnished as exhibits to this Annual Report on Form 10-K, apply both to the Trust taken as a whole and each Fund, and the Principal

Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

Other Information.

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Specifically, with respect to the Trust, the Sponsor:

Manages and directs the Funds’ portfolio of Financial

Instruments and other assets, including cash and cash equivalents;

Manages and directs the Funds’ portfolio of Financial Instruments and other assets, including cash and cash equivalents;

selects the Funds’ service providers;

negotiates various agreements and fees;

performs such other services as the Sponsor believes

that the Trust may require from time to time;

selects the FCM and Financial Instrument counterparties,

Oversees the Commodity

Sub-Adviser’s management of the Funds’ portfolio of Financial Instruments and other assets, including cash equivalents.

performs such other services as the Sponsor believes that the Trust may require from time to time;

selects the FCM and Financial Instrument

counterparties, if any.

The Shares are not deposits or other obligations

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had no operating history.

The Sponsor currently serves as the commodity

pool operator of the Trust and the Funds.

The Sponsor is registered as a commodity pool operator with the CFTC and is a member in good

standing of the NFA.

The Sponsor currently serves as the commodity pool

operator of the Trust and the Funds.

The Sponsor is registered as a commodity pool operator with the CFTC and is a member in good standing

The Sponsor’s membership with the NFA was originally approved on October 14, 2019.

Its membership with the

NFA is currently effective.

Its membership with the NFA is currently

The Sponsor’s registration as a commodity pool operator was originally approved on October 14, 2019.

Its registration as a commodity pool operator is currently effective.

As a registered commodity pool operator, with respect to the Trust,

the Sponsor must comply with various regulatory requirements under the CEA, and the rules and regulations of the CFTC and the NFA, including

investor protection requirements, antifraud prohibitions, disclosure requirements, and reporting and recordkeeping requirements.

NFA approved the Sponsor as a Swaps Firm on October 14, 2019.

The Sponsor is also subject to periodic examinations by the CFTC and NFA

Its principal place of business is 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408.

The telephone number of the Sponsor

and the Trust is (866) 261-0273.

The registration of the Sponsor with the CFTC and its membership in the NFA must not be taken as an

indication that either the CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds.

Its registration

as a commodity pool operator is currently effective.

As a registered commodity pool operator, with respect to the Trust, the Sponsor must

comply with various regulatory requirements under the CEA, and the rules and regulations of the CFTC and the NFA, including investor protection

requirements, antifraud prohibitions, disclosure requirements, and reporting and recordkeeping requirements.

The NFA approved the Sponsor

as a Swaps Firm on October 14, 2019.

The Sponsor is also subject to periodic examinations by the CFTC and NFA staff.

Its principal place

of business is 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408.

The telephone number of the Sponsor and the Trust is (866)

The registration of the Sponsor with the CFTC and its membership in the NFA must not be taken as an indication that either the

CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds.

Executive Officers of the Trust and Principals and Significant

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Associated Person of the Sponsor (since 12/12/2019)

Principal Executive Officer (since 4/8/2021)

Principal Financial Officer (since 4/8/2021)

Principal Executive Officer of the Trust (since 4/8/2021)

Financial Officer of the Trust (since 4/8/2021)

Principal Accounting Officer of the Trust (since 4/8/2021)

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Associated Person of the Sponsor (since 10/14/2019)

Chief Investment Officer (since 4/8/21)

of the Sponsor (since 1/26/2022)

Chief Compliance Officer (since 1/26/2022)

Principal of the Sponsor (since 1/26/2022)

Chief Compliance Officer of the Trust and Sponsor (since 1/26/2022)

Charles Lowery*

of the Sponsor (since 7/6/2023)

Product Management (since 7/6/2023)

Principal of the Sponsor (since 7/6/2023)

Denotes principal of the Sponsor who participates in

making trading decisions for the Funds.

Chief Investment Officer (since 1/1/2025)

Barry Pershkow

General Counsel (since 1/9/2026)

Corpus Partners LLC

Principal of the Sponsor (since 3/14/2025)

Justin Young Holdings LLC

Principal of the Sponsor (since 3/14/2025)

Middle Pine LLC

Principal of the Sponsor (since November 7, 2025)

Denotes principal of the Sponsor who participates in making trading decisions for the Funds.

The following is a biographical summary of the

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Of the Principals

listed below, only Justin Young, Stuart Barton, Chang Kim, and Charles Lowery participate in making trading or operational decisions

for the Funds or supervise persons engaged in making trading or operational decisions for the Funds.

listed below, only Justin Young, Chang Kim, and Charles Lowery participate in making trading or operational decisions for

the Funds or supervise persons engaged in making trading or operational decisions for the Funds.

Justin Young holds a BA in American Studies

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at an ETF sponsor);

from April 2011 to August 2015 he was Head of Capital Markets for Global X Management Company LLC

(overseeing capital markets operations for an ETF sponsor);

and from July 2009 to April 2011 he was an Associate of NYSE Euronext

(working on a number of listing matters for a national securities exchange).

from April 2011 to August 2015 he was Head of Capital Markets for Global X Management Company LLC (overseeing

capital markets operations for an ETF sponsor);

and from July 2009 to April 2011 he was an Associate of NYSE Euronext (working

on a number of listing matters for a national securities exchange).

Stuart Barton holds a PhD in Economic History

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from January 2008 to October 2010 he was unemployed and engaged in travel;

from June 2007 to January 2008 he

was Senior Equity Derivatives Trader at HSBC’s Hong Kong office (traded derivatives at an investment bank);

from June 2007 to January 2008 he was

Senior Equity Derivatives Trader at HSBC’s Hong Kong office (traded derivatives at an investment bank);

from September 2004

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at ProShare Advisors LLC (managing trading and portfolio management for ETFs).

Manzone LLC became a Principal of the Sponsor

on February 11, 2021.

Manzone LLC has a passive ownership interest in the Sponsor and exercises no management authority over the Funds.

Barry Pershkow serves as General

Counsel to the Adviser.

He holds a B.A.

from Duke University and a J.D.

from Tulane University.

From 2017 to 2026, he was Partner at

Chapman & Cutler LLP;

and from 2012 to 2017, he was Senior Special Counsel (ETFs) in the Chief Counsel’s Office in the

Division of Investment Management at the U.S.

Securities and Exchange Commission.

Prior to that he served as Vice President and

Counsel to another ETF sponsor, and as an associate at a large nationally recognized law firm.

Corpus Partners LLC became a

Principal of the Sponsor on March 14, 2025.

Corpus Partners LLC has a passive ownership interest in the Sponsor and exercises no

management authority over the Funds.

Justin Young Holdings LLC became a Principal of the Sponsor

on March 14, 2025.

Justin Young Holdings LLC has a passive ownership interest in the sponsor and exercises no management authority over

Middle Pine LLC became a Principal of the

Sponsor on November 7, 2025.

Middle Pine LLC has a passive ownership interest in the Sponsor and exercises no management authority over

Duties of the Sponsor and Indemnification

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by the terms of the Trust Agreement (to which terms all shareholders, by subscribing to the Shares, are deemed to consent).

The Trust Agreement provides that the Sponsor

and its affiliates shall have no liability to the Trust or to any shareholder for any loss suffered by the Trust arising out of any action

The Trust Agreement provides that the Sponsor and

its affiliates shall have no liability to the Trust or to any shareholder for any loss suffered by the Trust arising out of any action

or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders, partners, members, managers or employees

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The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their conduct

relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought

did not constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the

best interests of the Funds.

relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did

not constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the best

interests of the Funds.

Under Delaware law, a beneficial owner of a statutory

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any of the foregoing parties should consult their own counsel as to their evaluation of the status of the applicable law at such time.

Insider Trading Policy

The Trust has adopted an insider trading

policy applicable to the Sponsor’s directors, officers and employees, which is included as an exhibit to this annual report on Form

Code of Ethics

The Trust has adopted a code of ethics (“Code

of Ethics”) that applies to its Principal Executive Officer and Principal Financial Officer.

A copy of the Code of Ethics can be

obtained, without charge, upon written request to the Sponsor at the following address:

VolatilityShares LLC, Attn:

Chief Compliance

Officer, 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408.

The Commodity Sub-Adviser

Penserra Capital (the “Commodity Sub-Adviser”),

with its principal office at 4 Orinda Way, suite 100-a, Orinda, CA.

94563, serves as the Funds’ Commodity Sub-Adviser pursuant

to a commodity sub-advisory agreement (the “Commodity Sub-Advisory Agreement”).

Prior to November 1, 2022, Milliman FRM served

as the Funds’ commodity sub-adviser.

The Commodity Sub-Adviser formed in July 2009.

It provides investment advisory services, specializing in ETF sub-advisory serves.

The Commodity Sub-Adviser became an NFA member on

September 20, 2022 and a registered commodity trading adviser on September 20, 2022.

Previously, it was an NFA member from March 29,

2017 through May 19, 2018, when its membership was withdrawn, and was a commodity trading advisor from April 13, 2017 through May 19,

2018, when its registration was withdrawn.

The Commodity Sub-Adviser also provides services

as an investment adviser or sub-adviser or CTA, to mutual funds, exchange-traded funds (“ETFs”), unit investment trusts (“UITs”),

funds offered through bank collective investment trusts (“CITs”), and other exchange-traded products (“ETPs”).

The strategy exercised for each product is designed to meet a particular investment goal.

In the case of sub-advisory services, the primary

adviser to the fund is usually responsible for the selection of underlying investments for the fund, and the Commodity Sub-Adviser manages

strategies for the various funds’ assets based on the investment goals and objectives as outlined in each of the funds’ offering

As of December 31, 2024, the Commodity Sub-Adviser

no longer manages the Funds’ assets.

The Commodity Sub-Adviser was paid by the Sponsor an annual sub-advisory fee of 0.20% based

on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities).

The Funds did not

directly pay the Commodity Sub-Adviser.

As of September 16, 2024 (the “ Effective

Date” ), the Sponsor began providing day-to-day portfolio management services to the Funds.

Consistent therewith, the Sponsor

has terminated Penserra Capital Management LLC as commodity sub-adviser to the Funds and the Commodity Sub-Advisory Agreement by and

between the Sponsor and Penserra Capital Management LLC, also as of the Effective Date.

The following is a biographical summary of the

business experience of the principals of the Commodity Sub-Adviser.

Each of the principals listed below participate in making trading

or operational decisions for the Funds or supervise persons engaged in making trading or operational decisions for the Funds.

Anthony Castelli joined

the Commodity Sub-Adviser in August 2011 and has served as Chief Compliance Officer since August 2011.

In that role, he oversees compliance

and risk operations for Commodity Sub-Adviser.

Kelkar was approved as a principal on September 9, 2022.

Dustin Allen Lewellyn

joined the Commodity Sub-Adviser in September 2014 as a Managing Director.

In that role he oversees equity and commodity interest

Lewellyn was approved as a principal on September 9, 2022.

George Madrigal joined the Commodity Sub-Adviser

in August 2009 as President and Chief Operating Officer.

In that role, he manages and oversees the operations of the Commodity Sub-Adviser.

He also has served as President of Penserra Securities LLC since December 2007.

Madrigal was approved as a principal on September

Lee Wilson Geiger joined the Commodity

Sub-Adviser in September 2014 as a Managing Director.

In that role, he oversees equity and commodity interest trading.

approved as a principal on August 29, 2022, became registered as an associated person on September 20, 2022, and was approved as an NFA

associate member on September 20, 2022.

The Trust has adopted a code of ethics

(“Code of Ethics”) that applies to its Principal Executive Officer and Principal Financial Officer.

A copy of the Code

of Ethics can be obtained, without charge, upon written request to the Sponsor at the following address:

Volatility Shares LLC,

Chief Compliance Officer, 2000 PGA Boulevard, Suite 4440, Palm Beach Gardens, FL 33408.

Executive Compensation.

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No other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund

that the Sponsor pays directly.

Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that

the Sponsor pays directly.

For the years ended December 31, 2025 and December

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Principal Accounting Fees and Services.

Fees for services

performed by Tait, Weller & Baker, LLP (“Tait Weller”) and PricewaterhouseCoopers LLP (PwC) for the years ended December

31, 2024 and December 31, 2023 were as follows:

Fees for services performed by Tait, Weller & Baker, LLP (“Tait Weller”) and PricewaterhouseCoopers LLP (PwC) for the years ended December 31, 2025 and December 31, 2024 were as follows:

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and December 31, 2024 consist of fees paid to Tait Weller for the audit of the Funds’ December 31, 2025 and December 31, 2024 annual

financial statements included in the Annual Report on Form 10-K for the years ended December 31, 2024 and December 31, 2023, for the

review of the financial statements included in each Form 10-Q, and for the audits of financial statements included with registration

Tax fees include certain tax compliance and reporting services provided by PricewaterhouseCoopers (“PwC”) to

the Trust, including processing beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent

delivery of related information to the IRS.

Services also include assistance with tax reporting and related information using a web-based

tax package product developed by PwC and a toll-free tax package support help line.

The Sponsor approved all of the services provided by

Tait Weller and PwC described above.

The Sponsor pre-approves all audit and allowed non- audit services of the Trust’s independent

registered public accounting firm, including all engagement fees and terms.

financial statements included in the Annual Report on Form 10-K for the years ended December 31, 2025 and December 31, 2024, for the review

of the financial statements included in each Form 10-Q, and for the audits of financial statements included with registration statements.

Tax fees include certain tax compliance and reporting services provided by PricewaterhouseCoopers (“PwC”) to the Trust, including

processing beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent delivery of

related information to the IRS.

Services also include assistance with tax reporting and related information using a web-based tax package

product developed by PwC and a toll-free tax package support help line.

The Sponsor approved all of the services provided by Tait Weller and PwC described above.

The Sponsor pre-approves all audit and allowed non- audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms.

Exhibits and Financial Statement Schedules.

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not required, not applicable, or the information has otherwise been included.

Certificate of Trust

of Authorized Participant Agreement

Description of Shares

of Sponsor Agreement

of Transfer Agency Services Agreement

of Custodian Agreement

of Marketing Agent Agreement

of Futures Account Agreement

of Administration Servicing Agreement

of Sub-Administration Servicing Agreement

of Fund Accounting Servicing Agreement

Sub-Advisory Agreement

Description of Document

Restated Certificate of Trust

Trust Agreement

Form of Authorized Participant Agreement

Description of Shares of Beneficial Interest

Form of Sponsor Agreement

Form of Transfer Agency Services Agreement

Form of Custodian Agreement

Form of Marketing Agent Agreement

Form of Futures Account Agreement

Form of Administration Servicing Agreement

Form of Sub-Administration Servicing Agreement

Form of Fund Accounting Servicing Agreement

Insider Trading Policy

Accounting Firm Consent

Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended

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Inline XBRL Instance Document.

Inline XBRL Taxonomy Extension Calculation Linkbase

Inline XBRL Taxonomy Extension Definition Linkbase

Inline XBRL Taxonomy Extension Calculation Linkbase Document.

Inline XBRL Taxonomy Extension Definition Linkbase Document.

Inline XBRL Taxonomy Extension Label Linkbase Document.

Inline XBRL Taxonomy Extension Presentation Linkbase

Cover Page Interactive Data File (formatted as Inline

XBRL and contained in Exhibit 101).

Incorporated by reference

to the Trust’s Registration Statement, filed on January 6, 2022.

Incorporated by reference

to the Trust’s Registration Statement, filed on August 26, 2020

Incorporated by reference

to the Trust’s Registration Statement, filed on September, 26, 2022.

Inline XBRL Taxonomy Extension Presentation Linkbase Document.

Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

Incorporated by reference to the Trust’s Registration Statement, filed on January 6, 2022

Incorporated by reference to the Trust’s Registration Statement, filed on August 26, 2020

Incorporated by reference to the Trust’s Annual Report on Form 10-K for the fiscal year ended December 31, 2024, filed on March 28, 2025

Included herewith

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Not applicable.

Pursuant to the requirements of Section 13 or

15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this Annual Report to be signed on its behalf by the undersigned,

Pursuant to the requirements of Section 13 or 15(d)

of the Securities Exchange Act of 1934, the registrant has duly caused this Annual Report to be signed on its behalf by the undersigned,

thereunto duly authorized.

/s/ Justin Young

Principal Executive Officer

March 31, 2026

/s/ Justin Young

Principal Financial and Accounting Officer

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Notes to Financial Statements F-24

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

taitweller.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING

To Management of the Trust’s Sponsor of

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no such opinion.

To Management of the Trust’s Sponsor of

Our audits included performing procedures to assess

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March 31, 2026

Statements of Assets and Liabilities

in securities, at value *

expenses and other assets

at Broker for Futures and Options Contracts

margin receivable

margin payable

shares redeemed

Administrative,

accounting and custodian fees payable

and registration fees payable

of Assets and Liabilities

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For the Period

Investments in securities, at value *

Interest receivable

Prepaid expenses and other assets

Deposits at Broker for Futures and Options Contracts

Variation margin receivable

Other receivable

Variation margin payable

Fund shares redeemed

Payable to sponsor

Administrative, accounting and custodian fees payable

Professional fees payable

Licensing and registration fees payable

Total Liabilities

$ 212,031,300

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$ 300,123,823

ASSETS CONSIST OF:

$ 187,711,259

NET ASSETS CONSIST OF:

Paid-in capital

$ 1,369,394,819

$ 173,281,568

distributable earnings (accumulated deficit)

$ 574,080,151

Total distributable earnings (accumulated deficit)

( 1,038,103,719 )

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$ 331,291,100

Asset Value (unlimited shares authorized):

I (unlimited shares authorized):

$ 300,123,823

$ 187,711,259

Net Asset Value (unlimited shares authorized):

Class I (unlimited shares authorized):

$ 212,031,300

Outstanding^

$ 331,291,100

Asset Value, Offering and Redemption Price per Share

Value per Share

$ 300,123,823

$ 187,711,259

Shares Outstanding^

5,531,498 (1)

Net Asset Value, Offering and Redemption Price per Share

Market Value per Share (Note 1)

*Investments in securities, at cost

$ 113,974,059

(1) Adjusted to reflect a 1:10 reverse stock split occurring on January 15, 2025, as if it occurred at the commencement of operations.

to reflect a 1:5 reverse stock split on January 25, 2023, a 1:10 reverse stock split on October 11, 2023, and a 1:10 reverse stock split

on January 15, 2025, as if they occurred at the commencement of operations.

(1) Adjusted to reflect 1:10 reverse stock split on January 15, 2025.

See accompanying notes to the financial statements.

Statements of Operations

of Operations

For the Year Ended December 31, 2025 and December 31, 2024

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Interest income

Other Income (loss)

Management fees

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Net Investment income (loss)

( 1,200,955 )

( 1,174,446 )

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

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( 7,677,724 )

( 8,015,082 )

Net change in unrealized appreciation (depreciation) of:

( 68,788,688 )

( 11,995,820 )

Net realized and unrealized gain (loss) on investments and futures contracts

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$ ( 31,752,149 )

$ ( 276,923,037 )

See accompanying notes to financial statements.

Statement of Changes in Net Assets

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2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

For the year ended

of Changes in Net Assets

For the Year Ended December 31, 2025 and December 31, 2024

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INCREASE (DECREASE) IN NET ASSETS:

Net investment income (loss)

$ ( 572,956 )

Net investment gain (loss)

$ ( 577,068 )

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( 68,788,688 )

( 11,051,864 )

Net increase (decrease) in net assets resulting from operations

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CAPITAL SHARE TRANSACTIONS

1,369,590,652

2,795,737,205

Shares redeemed

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$ 300,123,823

See accompanying notes to the financial statements.

Statements of Cash Flows

$ 187,711,259

See accompanying notes to financial statements.

of Cash Flows

For the Year Ended December 31, 2025 and December 31, 2024

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2x Long VIX Futures ETF

December 31, 2025

December 31, 2024

CASH FLOW FROM OPERATING ACTIVITIES

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$ ( 31,752,149 )

$ ( 276,923,037 )

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities

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Proceeds from sales or maturities of investments held

1,366,950,923

1,523,629,727

Net realized gain/loss on investments in options

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( 2,375,565 )

( 4,003,885 )

Decrease (Increase) in Prepaid expenses and other assets

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Decrease (Increase) in other receivable

Decrease (Increase) in Due from Other

Increase (Decrease) in Variation margin payable

( 1,436,259 )

Increase (Decrease) in Payable to Sponsor

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Due to Other

Increase (Decrease) in Administrative, accounting and custodian fees payable

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CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of receivable for shares sold

Cost of shares redeemed, net of payable for shares redeemed

Proceeds from shares sold, net of cost from shares purchased

1,369,590,652

2,795,737,205

Cost of shares redeemed

( 1,499,233,562 )

( 2,000,422,537 )

( 652,867,942 )

( 592,426,570 )

Net cash provided by (used in) financing activities

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End of Period

See accompanying notes to the financial statements.

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Schedule of Investments

December 31, 2024

See accompanying notes to financial statements.

Short VIX Futures ETF

of Investments

PURCHASED OPTIONS - 0.5% (a) Notional Amount Contracts Value

Call Options - 0.5%

CBOE Volatility Index, Expiration:

Exercise Price:

$ 28.00 (b)(c) $ 13,455,000 9,000 $ 891,000

TOTAL PURCHASED OPTIONS (Cost $ 787,742 ) 891,000

TOTAL INVESTMENTS - 0.5 % (Cost $ 787,742 ) 891,000

US Bank Money Market Deposit Account - 29.3 % (d) 62,207,349

Other Assets in Excess of Liabilities - 70.2 % (e) 148,932,951

TOTAL NET ASSETS - 100.0 % $ 212,031,300

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Exchange-traded.

Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances.

MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily.

The rate as of

December 31, 2025 was 3.15%.

(e) Includes cash of $154,886,352 that was pledged as collateral for futures and options contracts.

Short VIX Futures ETF

of Futures Contracts

Description Contracts Sold Expiration Date Notional Value Value / Unrealized Appreciation (Depreciation)

CBOE VIX FUTURE Jan26 ( 6,632 ) 01/21/2026 $ 109,626,960 $ 15,094,491

CBOE VIX FUTURE Feb26 ( 5,526 ) 02/18/2026 102,396,780 2,169,843

Net Unrealized Appreciation (Depreciation) $ 17,264,334

Summary of Fair Value Disclosure as of December

-1x Short VIX Futures ETF (the “Fund”)

has adopted fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value.

These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair

value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels

for major security types.

These inputs are summarized in the three broad levels listed below.

The inputs or valuation methodology used

for valuing securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active

markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted

prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.

These inputs may include quoted

prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk,

yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or

liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions

a market participant would use in valuing the asset or liability, and based on the best information available.

The following is a summary of the fair valuation

hierarchy of the Fund’s securities as of December 31, 2025:

Purchased Options

Total Investments

Other Financial Instruments:

Futures Contracts*

Total Other Financial Instruments

fair value of the Fund’s investment represents the unrealized appreciation (depreciation) as of December 31, 2025.

Schedule of Investments for further disaggregation of investment categories.

Short VIX Futures ETF

of Investments

Notional Amount Contracts Value

21 unchanged sentences

(e) Includes cash of $206,471,251 that is pledged as collateral for options and futures contracts.

-1x Short VIX Futures ETF

Schedule of Futures Contracts

December 31, 2024

Short VIX Futures ETF

of Futures Contracts

Description Contracts

41 unchanged sentences

Refer to the Schedule of Investments for further disaggregation of investment categories.

Short VIX Futures ETF

Long VIX Futures ETF

of Investments

Notional Amount Contracts Value

PURCHASED OPTIONS - 0.29%

Call Options - 0.29%

CBOE VIX, Expiration:

Exercise Price:

$ 26 .00 $ 29,880,000 24,000 $ 360,000

TOTAL PURCHASED OPTIONS (Cost $ 1,171,333 ) 360,000

INVESTMENTS – 11.64%

Market Funds – 11.64%

First American Government Obligations Fund - Class X, 5.28 % (a)

TOTAL SHORT-TERM INVESTMENTS (Cost $ 14,557,099 )

TOTAL INVESTMENTS - 0.0 % (Cost $ 0 )

US Bank Money Market Deposit Account - 18.9 % (a)

Other Assets in Excess of Liabilities - 81.1 % (b)

2 unchanged sentences

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at December 31, 2023.

(b) $115,003,174 of cash is pledged as collateral for options and futures contracts.

-1x Short VIX Futures ETF

Schedule of Futures Contracts

December 31, 2023

Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances.

MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily.

The rate as of

December 31, 2025 was 3.15%.

(b) Includes cash of $263,069,326 that was pledged as collateral for futures and options contracts.

Long VIX Futures ETF

of Futures Contracts

Description Contracts

Sold Expiration

Purchased Expiration

Date Notional

5 unchanged sentences

Summary of Fair Value Disclosure as of December

-1x Short VIX Futures ETF has adopted authoritative

fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.

2x Long VIX Futures ETF (the “Fund”)

has adopted fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value.

These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair

2 unchanged sentences

These inputs are summarized in the three broad levels listed below.

The inputs or methodology used for valuing

securities are not an indication of the risk associated with investing in those securities.

The inputs or valuation methodology used

for valuing securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active

7 unchanged sentences

liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions

a market participant would use in valuing the asset or liability, and would be based on the best information available.

a market participant would use in valuing the asset or liability, and based on the best information available.

The following is a summary of the fair valuation

hierarchy of the Fund’s securities as of December 31, 2025:

Purchased Options

Money Market Funds

Total Investments

Other Financial Instruments:

Futures Contracts*

$ ( 60,520,981 )

Total Other Financial Instruments

* The fair value of the Fund’s investment represents the net unrealized

$ ( 60,520,981 )

* The fair value of the Fund’s investment represents the unrealized

appreciation (depreciation) as of December 31, 2025.

Refer to the Schedule of Investments for further disaggregation of

investment categories.

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Investments

December 31, 2024

Refer to the Schedule of Investments for further

disaggregation of investment categories.

Long VIX Futures ETF

of Investments

SHORT-TERM INVESTMENTS - 28.1%

11 unchanged sentences

2x Long VIX Futures ETF

Schedule of Futures Contracts

December 31, 2024

Long VIX Futures ETF

of Futures Contracts

Description Contracts

37 unchanged sentences

Refer to the Schedule of Investments for further disaggregation of investment categories.

2x Long VIX Futures ETF

Schedule of Investments

December 31, 2023

SHORT-TERM INVESTMENTS – 11.50%

Money Market Funds – 11.50%

First American Government Obligations Fund - Class X, 5.28 % (a)

TOTAL SHORT-TERM INVESTMENTS (Cost $ 8,009,153 )

TOTAL INVESTMENTS – 11.50 % (Cost $ 8,009,153 )

Other Assets in Excess of Liabilities – 88.50 % (b)

TOTAL NET ASSETS - 100.0 %

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at December 31, 2023.

(b) $61,750,311 of cash is pledged as collateral for futures contracts.

2x Long VIX Futures ETF

Schedule of Futures Contracts

December 31, 2023

Description Contracts

Purchased Expiration

Date Notional

Value Value / Unrealized

(Depreciation)

CBOE VIX FUTURE Jan24 5,633 01/17/2024 $ 79,087,320 $ ( 5,616,125 )

CBOE VIX FUTURE Feb24 3,943 02/14/2024 60,288,470 ( 2,561,493 )

Net Unrealized Appreciation (Depreciation) $ ( 8,177,618 )

Summary of Fair Value Disclosure as of December

2x Long VIX Futures ETF has adopted authoritative

fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.

These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair

value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels

for major security types.

These inputs are summarized in the three broad levels listed below.

The inputs or methodology used for valuing

securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active

markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted

prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.

These inputs may include quoted

prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk,

yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or

liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions

a market participant would use in valuing the asset or liability, and would be based on the best information available.

The following is a summary of the fair valuation

hierarchy of the Fund’s securities as of December 31, 2023:

Money Market Funds

Total Investments

Other Financial Instruments:

Futures Contracts*

( 8,177,618 )

Total Other Financial Instruments

$ ( 8,177,618 )

* The fair value of the Fund’s investment represents the net unrealized

appreciation (depreciation) as of December 31, 2023.

Refer to the Schedule of Investments for further disaggregation of

investment categories.

Statement of Assets and Liabilities

$ 124,775,437

Investments in securities, at value *

2 unchanged sentences

Receivable for shares sold

Deposits at Broker for Futures and Options Contracts

Variation margin receivable

19 unchanged sentences

*Investments in securities, at cost

$ 166,793,243

See accompanying notes to the financial statements.

C ombined Statement of Assets

and Liabilities (1)

December 31, 2023

accompanying notes to the financial statements.

Statement of Assets and Liabilities

Investments in securities, at value *

1 unchanged sentence

Prepaid expenses and other assets

Deposits at Broker for Futures and Options Contracts

Receivable for shares sold

Variation margin receivable

Other receivable

$ 205,087,879

Variation margin payable

17 unchanged sentences

* Investments in securities, at cost

(1) The Fund commenced operations on March 28, 2022.

See accompanying notes to the

financial statements.

$ 166,793,243

See accompanying notes to

the financial statements.

STATEMENT OF OPERATIONS

14 unchanged sentences

Net change in unrealized appreciation (depreciation) of:

( 46,177,445 )

Net realized and unrealized gain (loss) on investments and futures contracts

2 unchanged sentences

$ ( 623,535,934 )

See accompanying notes to financial statements.

Combined Statement

of Operations

For The Year Ended December 31, 2023

See accompanying notes to

the financial statements.

STATEMENT OF OPERATIONS

THE YEAR ENDED DECEMBER 31, 2024

INVESTMENT INCOME

7 unchanged sentences

Net Investment loss

( 2,375,401 )

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

1 unchanged sentence

( 23,151,830 )

( 8,015,082 )

Net change in unrealized appreciation (depreciation) of:

3 unchanged sentences

$ ( 25,409,189 )

See accompanying notes to financial

See accompanying notes to

the financial statements.

STATEMENT OF CHANGES IN NET ASSETS

1 unchanged sentence

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

Net investment gain (loss)

Net realized gain (loss) on investments and futures contracts

1 unchanged sentence

Net change in unrealized appreciation (depreciation) of investments and futures contracts

( 46,206,811 )

Net decrease in net assets resulting from operations

6 unchanged sentences

Total increase in net assets

$ 293,112,667

Beginning of Year

1 unchanged sentence

$ 543,322,400

See accompanying notes to the financial statements.

Combined Statement of Changes

in Net Assets

For The Year Ended December 31, 2023

accompanying notes to the financial statements.

STATEMENT OF CHANGES IN NET ASSETS

THE YEAR ENDED DECEMBER 31, 2024

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

$ ( 2,375,401 )

Net realized gain (loss) on investments and futures contracts

4 unchanged sentences

CAPITAL SHARE TRANSACTIONS

1,570,874,548

Shares redeemed

2 unchanged sentences

Total increase in net assets

$ 293,112,667

Beginning of Year

$ 194,722,415

See accompanying notes to

the financial statements.

Combined Statements of Cash Flows

For The Year Ended December 31, 2024

$ 487,835,082

See accompanying notes to the financial statements.

STATEMENTS OF CASH FLOWS

THE YEAR ENDED DECEMBER 31, 2025

CASH FLOW FROM OPERATING ACTIVITIES

15 unchanged sentences

Decrease (Increase) in other receivables

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

( 1,436,259 )

Increase (Decrease) in Payable to Sponsor

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Fund shares redeemed

Increase (Decrease) in Administrative, accounting and custodian fees payable

10 unchanged sentences

NET INCREASE IN CASH

( 3,842,961 )

Beginning of Year

accompanying notes to the financial statements.

Combined Statements of Cash Flows

For The Year Ended December 31, 2023

$ 124,775,437

See accompanying notes to the financial statements.

STATEMENTS OF CASH FLOWS

THE YEAR ENDED DECEMBER 31, 2024

CASH FLOW FROM OPERATING ACTIVITIES

11 unchanged sentences

Decrease (Increase) in Variation margin receivable

( 4,003,885 )

Decrease (Increase) in Prepaid expenses and other assets

10 unchanged sentences

Proceeds from shares sold, net of cost from shares purchased

1,570,874,548

Cost of shares redeemed

2 unchanged sentences

NET INCREASE IN CASH

( 3,842,961 )

Beginning of Year

See accompanying notes to the financial statements.

Notes to Financial Statements

December 31, 2024

NOTE 1 – ORGANIZATION

VS Trust (the “Trust”) is a Delaware

statutory trust formed on October 24, 2019 and is currently organized into separate series (each, a “Fund” and collectively,

the “Funds”).

As of December 31, 2024, the following two series of the Trust have commenced investment operations:

VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”).

Each of the Funds listed above issues common units

of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of

only that Fund.

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe BZX”).

The Funds’ inception of operation was March

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other than matters relating to its organization

and the registration of each series under the Securities Act of 1933.

Each Fund’s investment exposure to VIX

futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity Exchange

Act of 1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules.

The Sponsor is registered as a Commodity

Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC rules.

Registration as a CPO imposes

additional compliance obligations on the Sponsor and the Funds related to additional laws, regulations and enforcement policies, which

could increase compliance costs and may affect the operations and financial performance of the Funds.

Volatility Shares LLC (the “Sponsor”)

is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity pool operator.

The Funds are commodity

pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the CFTC and are operated

by the Sponsor, which is registered as a commodity pool operator with the CFTC.

The Trust is not an investment company registered under

the Investment Company Act of 1940.

On January 11, 2023, the Trust’s Sponsor announced a one-for-five

reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on January 24, 2023.

On January 25,

2023, shareholders will be deemed to hold one Fund share for every five Fund shares previously held as of the close of business on January

The reverse share split did not change the total value of the shareholders’ investments in the Fund.

This reverse share

split is reflected in the financial statements.

On September 22, 2023, the Trust’s Sponsor announced a one-for-ten

reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on October 10, 2023.

On October 11,

2023, shareholders will be deemed to hold one Fund share for every ten Fund shares previously held as of the close of business on October

The reverse share split did not change the total value of the shareholders’ investments in the Fund.

This reverse share

split is reflected in the financial statements.

On December 31, 2024, the Trust’s Sponsor announced a one-for-ten

reverse share split for shares of the 2x Long VIX Futures ETF, effective after the close of business on January 14, 2025.

On January 15,

2025, shareholders will be deemed to hold one Fund share for every ten Fund shares previously held as of the close of business on January

The reverse share split did not change the total value of the shareholders’ investments in the Fund.

This reverse share

split is reflected in the financial statements.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined

by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial

Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.

following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements

were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-K and the rules and regulations

See accompanying notes to

the financial statements.

TO FINANCIAL STATEMENTS

1 – ORGANIZATION

Trust (the “Trust”) is a Delaware statutory trust formed on October 24, 2019 and is currently organized into separate series

(each, a “Fund” and collectively, the “Funds”).

As of December 31, 2025, the following two series of the Trust

have commenced investment operations:

-1x Short VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”).

Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional

undivided beneficial interest in and ownership of only that Fund.

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe

Funds’ inception of operation was March 28, 2022.

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other

than matters relating to its organization and the registration of each series under the Securities Act of 1933.

Fund’s investment exposure to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund

to regulation under the Commodity Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”)

The Sponsor is registered as a Commodity Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable

Registration as a CPO imposes additional compliance obligations on the Sponsor and the Funds related to additional laws,

regulations and enforcement policies, which could increase compliance costs and may affect the operations and financial performance of

Shares LLC (the “Sponsor”) is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity

pool operator.

The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable

regulations of the CFTC and are operated by the Sponsor, which is registered as a commodity pool operator with the CFTC.

not an investment company registered under the Investment Company Act of 1940.

2 – SIGNIFICANT ACCOUNTING POLICIES

Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification

(“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment

company accounting and reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable,

in preparation of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United

States of America (“GAAP”).

accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions

for Form 10-K and the rules and regulations of the U.S.

Securities and Exchange Commission (“SEC”).

In the opinion of management, all material adjustments, consisting

only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been

In the opinion of management,

all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period

financial statements have been made.

Interim period results are not necessarily indicative of results for a full-year period.

Emerging growth company

The Trust is an “emerging growth company,”

as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging growth company until the earlier of (1) the

beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning of the first fiscal

year after annual gross revenue is $ 1.235 billion (subject to adjustment for inflation) or more, (3) the date on which the Fund has,

during the previous three-year period, issued more than $ 1.0 billion in non-convertible debt securities and (4) as of the end of any

fiscal year in which the market value of common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter

of that fiscal year.

For as long as the Trust remains an “emerging

growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public

companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor

attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and

financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory

vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved.

The Trust will

take advantage of these reporting exemptions until it is no longer an “emerging growth company.”

Use of Estimates & Indemnifications

The preparation of financial statements in conformity

with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures

of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during

the reporting period.

growth company

Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging

growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its initial public

offering, (2) the beginning of the first fiscal year after annual gross revenue is $ 1.235 billion (subject to adjustment for inflation)

or more, (3) the date on which the Fund has, during the previous three-year period, issued more than $ 1.0 billion in non-convertible

debt securities and (4) as of the end of any fiscal year in which the market value of common equity held by non-affiliates exceeded $ 700

million as of the end of the second quarter of that fiscal year.

as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting

requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited

to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure

obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from

the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute

payments not previously approved.

The Trust will take advantage of these reporting exemptions until it is no longer an “emerging

growth company.”

of Estimates & Indemnifications

preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported

amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the

reported amounts of revenues and expenses during the reporting period.

Actual results could differ from those estimates.

In the normal course of business, the Trust enters

into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum exposure under

these arrangements cannot be known;

the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum exposure under these arrangements cannot be known;

however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC,

these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually.

liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable

only against the assets of such Fund and not against the assets of the Trust generally or any other Fund.

Accordingly, the assets of

each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase

of Shares in that Fund.

Statements of Cash Flows

The cash amount shown in the Statements of Cash

Flows is the amount reported as cash in the Statements of Financial Condition dated December 31, 2024 and December 31, 2023, and represents

cash but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation

of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended December 31, 2024 were

typically as follows.

of Presentation

to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for

each Fund individually.

The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect

to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any

Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or

distributed to the Trust for the purchase of Shares in that Fund.

of Cash Flows

cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated December

31, 2025 and December 31, 2024, and represents cash but does not include short-term investments.

Net Asset Value for Fiscal Period

cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for

the year ended December 31, 2025 were typically as follows.

All times are Eastern Standard Time:

Fund Create/Redeem Cut-off*(EST) NAV

Calculation Time (EST) NAV

Calculation Date

Fund Create/Redeem

Cut-off*(EST) NAV

Time (EST) NAV

-1x Short VIX Futures ETF and 2:00 p.m.

2 unchanged sentences

December 31, 2025

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended December 31, 2023.

Market value per Share is determined at the close

of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value

transactions based upon the final closing price in their primary markets.

Accordingly, the investment valuations in these financial statements

may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended

December 31, 2023.

Investment Valuation

Short-term investments are valued at amortized

cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short- term investments are valued at their

market price using information provided by a third-party pricing service or market quotations.

In each of these situations, valuations

are typically categorized as Level I in the fair value hierarchy.

VIX futures contracts are

valued using the Time Weighted Average Price (TWAP) of the futures during the last 15 minutes of NYSE’s regular trading session,

rather than solely from the VIX futures’ settlement price.

The value of a Fund’s non-exchange-traded Financial Instruments

typically is determined by applying the then-current disseminated levels for the Index to the terms of the Fund’s non-exchange-traded

value per Share is determined at the close of Cboe BZX and may be later than when the Funds’ NAV per Share is calculated.

financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets.

the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’

final creation/redemption NAV for the year ended December 31, 2025.

investments are valued at amortized cost which approximates fair value for daily NAV purposes.

For financial reporting purposes, short-

term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

futures contracts are valued using the Time Weighted Average Price (TWAP) of the futures during the last 15 minutes of NYSE’s regular

trading session, rather than solely from the VIX futures’ settlement price.

The value of a Fund’s non-exchange-traded Financial

Instruments typically is determined by applying the then-current disseminated levels for the Index to the terms of the Fund’s non-exchange-traded

Financial Instruments.

In certain circumstances (e.g., if the Sponsor

believes market quotations do not accurately reflect the fair value of a Fund’s investment, or a trading halt closes an exchange

or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market

value of such investment for such day.

Such fair value prices would generally be determined based on available inputs about the current

value of the underlying VIX futures contract and would be based on principles that the Sponsor deems fair and equitable.

The Funds may use a variety of money market instruments.

Money market instruments generally will be valued using market prices or at amortized cost.

Fair value pricing may require subjective determinations

about the value of an investment.

While the Funds’ policies are intended to result in a calculation of its respective Fund’s

NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor

or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose

of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by such Fund may differ

from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Investment Transactions and Related Income

Investment transactions are recorded on the trade

certain circumstances (e.g., if the Sponsor believes market quotations do not accurately reflect the fair value of a Fund’s investment,

or a trading halt closes an exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price

as the basis for determining the market value of such investment for such day.

Such fair value prices would generally be determined based

on available inputs about the current value of the underlying VIX futures contract and would be based on principles that the Sponsor

deems fair and equitable.

Funds may use a variety of money market instruments.

Money market instruments generally will be valued using market prices or at amortized

value pricing may require subjective determinations about the value of an investment.

While the Funds’ policies are intended to

result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund

cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that

a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or

distressed sale).

The prices used by such Fund may differ from the value that would be realized if the investments were sold and the

differences could be material to the financial statements.

Transactions and Related Income

transactions are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to market daily.

Unrealized appreciation (depreciation)

on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between

periods are reflected in the Statements of Operations.

Interest income is recognized on an accrual basis

and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

Brokerage Commissions and Futures Account Fees

Each Fund pays its respective brokerage commissions,

including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other

transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S.

Futures Trading Commission (“CFTC”) regulated investments.

The effects of trading spreads, financing costs/fees associated

with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities or similar high credit quality short-term

fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g.,

the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed).

Federal Income Tax

Each Fund is registered as a series of a Delaware

statutory trust and is treated as a partnership for U.S.

Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized

appreciation (depreciation) between periods are reflected in the Statements of Operations.

income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as

Interest Income in the Statement of Operations.

Commissions and Futures Account Fees

Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”)

fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities

for each Fund’s investment in U.S.

Commodity Futures Trading Commission (“CFTC”) regulated investments.

of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S.

Treasury securities

or similar high credit quality short-term fixed-income would also be borne by the Funds.

Brokerage commissions on futures contracts are

recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized

when the transaction is closed).

The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Funds that exceed

variable create/redeem fees collected by more than 0.04 % and 0.09 %, for SVIX and UVIX, respectively, of each Fund’s average net

assets annually.

Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S.

federal income tax purposes.

Accordingly, no Fund expects to incur U.S.

income tax liability;

rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of

its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial

owner’s taxable year.

Management of the Funds has reviewed all open

tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded

that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected

to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is reasonably possible that the total

amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing basis, management monitors its

tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but

not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S.

Treasury Bills, agency

securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less.

A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment

objective, the Sponsor uses a mathematical approach to investing.

Using this approach, the Sponsor determines the type, quantity and

mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent

with a Fund’s objective.

All open derivative positions at period end are

reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized a varying level of derivative instruments in

conjunction with investment securities in seeking to meet their investment objectives during the period.

While the volume of open positions

may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment

objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally

representative of open positions throughout the reporting period.

Following is a description of the derivative

instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument

Futures Contracts

The Funds may enter into futures contracts to

gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying benchmark.

contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset

at a specified time and place.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical

delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on

the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund

is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the

Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into futures contracts maintain collateral at

the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund generally agrees to receive from or pay

to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known

as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize a gain or loss upon closing of

a futures transaction.

Futures contracts involve, to varying degrees,

elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure

to loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure each Fund

has in the particular classes of instruments.

Additional risks associated with the use of futures contracts are imperfect correlation

between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility

of an illiquid market for a futures contract.

With futures contracts, there is minimal but some counterparty risk to the Funds since

futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself.

futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day.

Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading

may be suspended for specified times during the trading day.

Futures contracts prices could move to the limit for several consecutive

trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund

to substantial losses.

If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse

price movements, the Fund will be required to make daily cash payments of variation margin.

The risk the Fund will be unable to close

out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary

Option Contracts

An option is a contract that gives the buyer

the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price

within a specified period of time, regardless of the market price of that instrument.

There are two types of options:

no Fund expects to incur U.S.

federal income tax liability;

rather, each beneficial owner of a Fund’s Shares is required to take

into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year

ending with or within the beneficial owner’s taxable year.

of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since

then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income

tax positions taken or expected to be taken in future tax returns.

The Funds are also not aware of any tax positions for which it is

reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

On an ongoing

basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary

based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

3 – Reverse Share Splits

table below includes reverse Share splits for Funds during the years ended December 31, 2024, and 2025.

The ticker symbols did

not change, and each Fund continues to trade on its primary listing exchange, as applicable.

Split Effective Date Ticker Fund Split Ratio Old CUSIP New CUSIP

1/15/2025 UVIX 2x Long VIX Futures ETF 1:10 92891H507 92891H606

Hypothetical NAV

reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each such Fund

resulting in a proportionate increase in the price per Share and per Share information of each such Fund.

Therefore, the reverse

splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse

4 – INVESTMENTS

Funds may purchase U.S.

Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities

with original maturities of one year or less.

A portion of these investments may be posted as collateral in connection with swap agreements,

futures, and/or forward contracts.

for Derivative Instruments

seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing.

Using this approach,

the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes

in combination, should produce returns consistent with a Fund’s objective.

open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments.

Certain Funds utilized

a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during

While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve

the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective

Fund at the date of this report is generally representative of open positions throughout the reporting period.

is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures

related to each instrument type.

Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or

shorting), an underlying benchmark.

A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery

of a specified quantity and type of asset at a specified time and place.

The contractual obligations of a buyer or seller may generally

be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase

of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration

entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required

by the exchange on which the transaction is affected.

The initial margin is segregated as cash and/or securities balances with brokers

for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use.

The Funds that enter into

futures contracts maintain collateral at the broker in the form of cash and/or securities.

Pursuant to the futures contract, each Fund

generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses.

Each Fund will realize

a gain or loss upon closing of a futures transaction.

contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity

market volatility risk) and exposure to loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent

of the total exposure each Fund has in the particular classes of instruments.

Additional risks associated with the use of futures contracts

are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity

and the possibility of an illiquid market for a futures contract.

With futures contracts, there is minimal but some counterparty risk

to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse

Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single

Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit

or trading may be suspended for specified times during the trading day.

Futures contracts prices could move to the limit for several

consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting

a Fund to substantial losses.

If trading is not possible, or if a Fund determines not to close a futures position in anticipation of

adverse price movements, the Fund will be required to make daily cash payments of variation margin.

The risk the Fund will be unable

to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid

secondary market.

option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other

instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument.

are two types of options:

calls and puts.

A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the

life of the option.

A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any

time during the life of the option.

Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting

position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the

premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin,

and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price

which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call or put, an amount equal

to the premium received is recorded and subsequently marked to market to reflect the current value of the option written.

Premiums received

from writing options which expire are treated as realized gains.

Premiums received from writing options which are exercised or closed

are added to the proceeds or offset against amounts paid on the underlying futures, swap or security transaction to determine the realized

When a Fund purchases an option, the Fund pays

a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current

value of the option.

Premiums paid for purchasing options which expire are treated as realized losses.

The risk associated with purchasing

put and call options is limited to the premium paid.

Premiums paid for purchasing options which are exercised or closed are added to

the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the

underlying transaction is executed.

Certain options transactions may subject the

writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered.

value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s

underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s

underlying benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the options should not

be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking

A call option conveys to the option buyer the right to purchase a particular futures contract

at a stated price at any time during the life of the option.

A put option conveys to the option buyer the right to sell a particular

futures contract at a stated price at any time during the life of the option.

Options written by a Fund may be wholly or partially covered

(meaning that the Fund holds an offsetting position) or uncovered.

In the case of the purchase of an option, the risk of loss of an investor’s

entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become

worthless when the option expires.

Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial

additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a

predetermined price which may, upon exercise of the option, be significantly different from the market value.

a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current

value of the option written.

Premiums received from writing options which expire are treated as realized gains.

Premiums received from

writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap

or security transaction to determine the realized gain (loss).

a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently

marked to market to reflect the current value of the option.

Premiums paid for purchasing options which expire are treated as realized

The risk associated with purchasing put and call options is limited to the premium paid.

Premiums paid for purchasing options

which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to

determine the realized gain (loss) when the underlying transaction is executed.

options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract

to be purchased or delivered.

The value of a Fund’s options transactions, if any, will be affected by, among other things, changes

in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and

implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof.

The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying

benchmark, which may contribute to tracking error.

Options may be less liquid than certain other securities.

A Fund’s ability to trade options will be dependent on the willingness

of counterparties to trade such options with the Fund.

In a less liquid market for options, a Fund may have difficulty closing out certain

option positions at desired times and prices.

A Fund may experience substantial downside from specific option positions and certain option

positions may expire worthless.

Over-the-counter options generally are not assignable except by agreement between the parties concerned,

and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for options is relatively illiquid,

particularly for relatively small transactions.

The use of options transactions exposes a Fund to liquidity risk and counterparty credit

risk, and in certain circumstances may expose the Fund to unlimited risk of loss.

The Funds may buy and sell options on futures contracts,

which may present even greater volatility and risk of loss.

The following table indicates the average volume when in use for the year ended December 31, 2024:

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

A Fund’s ability to

trade options will be dependent on the willingness of counterparties to trade such options with the Fund.

In a less liquid market for

options, a Fund may have difficulty closing out certain option positions at desired times and prices.

A Fund may experience substantial

downside from specific option positions and certain option positions may expire worthless.

Over-the-counter options generally are not

assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments.

The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions.

The use of options transactions

exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of

The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

The following table indicates the average volume when in use for the

year ended December 31, 2025:

-1x Short VIX

Average notional value of purchased options contracts:

The following table indicates the average volume

when in use for the year ended December 31, 2023:

Average notional value of purchased

options contracts

There were no transactions in purchased option

contracts during the period ended December 31, 2022.

Swap Agreements

The Funds may enter into swap agreements for

purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index or to

create an economic hedge against a position.

Swap agreements are two-party contracts that have traditionally been entered into primarily

with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant

reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or

to clear such transactions through a CFTC-regulated central clearing organization.

In a standard swap transaction, two parties agree

to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating

rate of return in respect of a predetermined notional amount.

Transaction or commission costs are reflected in the benchmark level at

which the transaction is entered into.

The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark

returns to which the swap is linked.

Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the

Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment.

Consequently,

each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or

received under the agreement based on the relative values of such obligations (or rights) (the “net amount”).

swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level of the benchmark increases and

would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction

The following table indicates the average volume when in use for the

year ended December 31, 2024:

-1x Short VIX

Average notional value of purchased options contracts:

Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in

(or shorting) an underlying Index or to create an economic hedge against a position.

Swap agreements are two-party contracts that have

traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified

period, ranging from a day to more than one year.

However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank

Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions

on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization.

In a standard swap

transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index

in exchange for a fixed or floating rate of return in respect of a predetermined notional amount.

Transaction or commission costs are

reflected in the benchmark level at which the transaction is entered into.

The gross returns to be exchanged are calculated with respect

to a notional amount and the benchmark returns to which the swap is linked.

Swap agreements do not involve the delivery of underlying

swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis”

with a single payment.

Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal

only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net

In a typical swap agreement entered into by UVIX, the would be entitled to settlement payments in the event the level

of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark

decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement

entered into by SVIX, the Fund would be required to make payments to the swap counterparties in the event the level of the benchmark

increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction

costs or trading spreads on the notional amount the Funds may pay.

In a typical swap agreement entered into by SVIX, the Fund would be

required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement

payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount

the Funds may pay.

net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued

on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained

for the benefit of the counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each

Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash

and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in

a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s entitlements over its

obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate

value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable

by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when

cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements

are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events

of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms of the

agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the

net positions owed to the party under the agreement.

This could cause a Fund to have to enter into a new transaction with the same counterparty,

enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments

or investment techniques.

Swap agreements involve, to varying degrees,

elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent

of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

Additional risks associated

with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference

Index and the inability of counterparties to perform.

Each Fund bears the risk of loss of the amount expected to be received under a

swap agreement in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically enter into swap agreements

only with major global financial institutions.

The creditworthiness of each of the firms that is a party to a swap agreement is monitored

by the Sponsor.

The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different

counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty

in an amount approximately equal to that owed to the Funds.

Outstanding swap agreements contractually terminate within one month but

may be terminated without penalty by either party at any time.

Upon termination, the Fund is obligated to pay or receive the “unrealized

appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements

by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments.

As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated

tri-party account at the Custodian to protect the counterparty against non-payment by the Funds.

The collateral held in this account

is restricted as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the

segregated account and may incur certain costs in exercising its right with respect to the collateral.

If a counterparty becomes bankrupt

or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining

any recovery in a bankruptcy or other reorganizational proceeding.

The Funds may obtain only limited recovery or may obtain no recovery

in such circumstances.

The Funds remain subject to credit risk with respect

to the amount they expect to receive from counterparties.

However, the Funds have sought to mitigate these risks in connection with OTC

swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market

daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds.

In the event of

a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the

day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of

such collateral.

To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above,

including the possible delays in recovering amounts as a result of bankruptcy proceedings.

The counterparty/credit risk for cleared derivative

transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty

to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade

looks only to the clearing organization for performance of financial obligations.

In addition, cleared derivative transactions benefit

from daily marking- to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Statements of Assets and Liabilities

Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash

and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated

account by a third party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction

costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on

swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap

agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of certain

events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request

immediate payment in an amount equal to the net positions owed to the party under the agreement.

This could cause a Fund to have to enter

into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment

objective through any number of different investments or investment techniques.

agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the

NAV of each Fund.

Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional

amount and the price of the underlying reference Index and the inability of counterparties to perform.

Each Fund bears the risk of loss

of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty.

A Fund will typically enter into swap agreements only with major global financial institutions.

The creditworthiness of each of the firms

that is a party to a swap agreement is monitored by the Sponsor.

The Sponsor may use various techniques to minimize credit risk including

early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally

requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds.

Outstanding swap agreements

contractually terminate within one month but may be terminated without penalty by either party at any time.

Upon termination, the Fund

is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating

or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments.

above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party

account at the Custodian to protect the counterparty against non-payment by the Funds.

The collateral held in this account is restricted

as to its use.

In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account

and may incur certain costs in exercising its right with respect to the collateral.

If a counterparty becomes bankrupt or otherwise fails

to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy

or other reorganizational proceeding.

The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties.

However, the Funds have sought

to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral

for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject

to certain minimum thresholds.

In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received

from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s

request for collateral and the delivery of such collateral.

To the extent any such collateral is insufficient, the Funds will be exposed

to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.

counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization

becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance

under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations.

cleared derivative transactions benefit from daily marking- to-market and settlement, and segregation and minimum capital requirements

applicable to intermediaries.

values of derivative instruments as of December 31, 2025:

-1x Short VIX Futures ETF Statements of Assets

and Liabilities Location Assets Liabilities

Purchased Option Contracts:

Index Investments, at value $ 891,000 $ -

Short Futures Contracts:

Index Unrealized Appreciation* 17,264,334 -

Total fair values of derivative instruments $ 18,155,334 $ -

2x Long VIX Futures ETF Assets Liabilities

Long Futures Contracts:

Index Unrealized Depreciation* $ -

$ ( 60,520,981 )

Total fair values of derivative instruments $ -

$ ( 60,520,981 )

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Future Contracts.

Only current day’s variation margin is reported within the Statement of Financial Condition

in receivable/payable on open futures.

Fair values of derivative instruments as of December 31, 2024:

15 unchanged sentences

as reported in the Schedule of Future Contracts.

Only current day’s variation margin is reported within the Statements of Financial Condition

in receivable/payable on open futures.

Statements of Operations

Only current day’s variation margin is reported within the Statements of Financial

Condition in receivable/payable on open futures.

The effect of derivative instruments on the Statement of Operations

for the year ended December 31, 2025:

-1x Short VIX Futures ETF

Net Realized Gain (Loss) on Derivatives

-1x Short VIX Futures ETF Purchased Short

Index Contracts

$ ( 7,677,724 )

2x Long VIX Futures ETF

Index Contracts

$ ( 582,369,071 )

-1x Short VIX Futures ETF

Net Change in Unrealized Appreciation

(Depreciation) on Derivatives

Index Contracts

2x Long VIX Futures ETF

Index Contracts

$ ( 68,788,688 )

amounts disclosed are included in the realized gain (loss) on investments.

amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments.

The effect of derivative instruments on the Statement of Operations

for the year ended December 31, 2024:

Net Realized Gain (Loss) on Derivatives

Short VIX Futures ETF Purchased Short

Option Futures

2 unchanged sentences

Total $ ( 8,015,082 ) $ 24,472,687 $ 16,457,605

2x Long VIX Futures ETF Purchased Long

Long VIX Futures ETF Purchased Long

Option Futures

4 unchanged sentences

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

-1x Short VIX Futures ETF Purchased Short

Short VIX Futures ETF Purchased Short

Option Futures

8 unchanged sentences

appreciation (depreciation) on investments.

Statements of Assets and Liabilities

Fair values of derivative instruments as of December 31, 2023:

Statements of Assets Fair Value

-1x Short VIX Futures ETF and Liabilities Location Assets Liabilities

Purchased Option Contracts:

Index Investments, at value $ 360,000 $ -

Short Futures Contracts:

Index Unrealized Appreciation* 7,980,684 -

Total fair values of derivative instruments $ 8,340,684 $ -

2x Long VIX Futures ETF Assets Liabilities

Long Futures Contracts:

Index Unrealized Depreciation* $ -

$ ( 8,177,618 )

Total fair values of derivative instruments $ -

$ ( 8,177,618 )

cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s variation

margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Statements of Operations

The effect of derivative instruments on the Statement of Operations

for the year ended December 31, 2023:

Net Realized Gain (Loss) on

-1x Short VIX Futures ETF Purchased Short

Option Futures

Derivatives Contracts* Contracts Total

Index Contracts $ ( 742,711 ) $ 99,437,238 $ 98,694,527

Total $ ( 742,711 ) $ 99,437,238 $ 98,694,527

2x Long VIX Futures ETF

Index Contracts

$ ( 276,774,495 )

Net Change in Unrealized

Appreciation (Depreciation) on

The following table indicates the average volume when in

use for the year ended December 31, 2025:

-1x Short VIX Futures ETF

Index Contracts

$ ( 811,333 )

2x Long VIX Futures ETF

Index Contracts

amounts disclosed are included in the realized gain (loss) on investments.

amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments.

The following table indicates the average volume when in use for the

year ended December 31, 2024:

-1x Short VIX

Average notional value of long futures contracts:

9 unchanged sentences

( 204,171,960 )

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements

or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination.

party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party.

The master netting

agreements or similar arrangements do not apply to amounts owed to/from different counterparties.

As described above, the Funds utilize

derivative instruments to achieve their investment objective during the year.

The amounts shown in the Statements of Financial Condition

do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do

not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2024 and December 31,

Fair Values of Derivative Instruments as of December 31, 2024

Statements of Financial

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Assets and Liabilities

Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty

to be netted upon an early termination.

The party that has the larger payable pays the excess of the larger amount over the smaller amount

to the other party.

The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties.

As described above, the Funds utilize derivative instruments to achieve their investment objective during the year.

The amounts shown

in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements

or similar arrangements.

financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements

in the Statements of Financial Condition.

The following table presents each Fund’s derivatives by investment type and by counterparty

net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of

December 31, 2025.

Fair Values of Derivative Instruments as of December 31, 2025

in the Statements of

Financial Condition

Amounts Offset in

the Statements

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Asset (Liability) amounts shown in the table below

represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023 and December 31, 2024.

These amounts

may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether

the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount”

represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences

related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting

for Derivative Instruments”.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at

December 31, 2025.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the

counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown

in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may

be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further

described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2025

(Liabilities)

Statements of

Financial Instruments

of (the Funds) /

Counterparties

Collateral for

the Benefit of

(the Funds) /

Counterparties

Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial

Financial Instruments for the Benefit of (the Funds) / the Counterparties

Cash Collateral for the Benefit of (the Funds) / the Counterparties

-1x Short VIX Futures ETF

2 unchanged sentences

2x Long VIX Futures ETF

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2024.

Fair Values of Derivative Instruments as of December 31, 2024

the Statements

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

(Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2024.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the

Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral

movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2024

1 unchanged sentence

Statements of

Financial Instruments

of (the Funds) /

the Counterparties

Counterparties

Collateral for

6 unchanged sentences

2x Long VIX Futures ETF

NOTE 4 – AGREEMENTS

Management Fee

SVIX pays the Sponsor a management fee (the “Management

Fee”), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets.

UVIX pays the Sponsor

a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

“Average daily

net assets” is calculated by dividing the month-end net assets of each Fund by the number of calendar days in such month.

No other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund

that the Sponsor pays directly.

Prior to September 16, 2024, Penserra Capital

Management LLC (“Penserra”) served as the Funds’ commodity sub-adviser.

During the period in which Penserra served

as the commodity sub-adviser, the Sponsor oversaw and paid Penserra an annual sub-advisory fee of 0.20 % for its services as commodity

sub-adviser, based on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities)

The Funds did not directly pay Penserra.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual

fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses that are unexpected

or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are

not currently anticipated obligations of the Funds.

5 – AGREEMENTS

pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.35 % per annum

of its average daily net assets.

UVIX pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum

of its average daily net assets.

“Average daily net assets” is calculated by dividing the month-end net assets of each Fund

by the number of calendar days in such month.

other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services

and the other services provided to the Fund that the Sponsor pays directly.

November 1, 2022 to September 16, 2024, Penserra Capital Management LLC (“Penserra”) served as the Funds’

commodity sub-adviser.

During the period in which Penserra served as the commodity sub-adviser, the Sponsor oversaw and paid

Penserra an annual sub-advisory fee of 0.20 % for its services as commodity sub-adviser, based on each Fund’s average daily net

assets (total assets of the Fund, minus the sum of its accrued liabilities) The Funds did not directly pay Penserra.

Non-Recurring

Fees and Expenses

Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and

expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification

or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator, Transfer Agent and Custodian

Bancorp Fund Services, LLC, doing business

Bank Global Fund Services (“Fund Services”), an indirect subsidiary of U.S.

Bancorp, serves as the Fund’s fund

accountant, administrator and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer

agent servicing agreements.

Bancorp Fund Services, LLC, doing business as U.S.

Fund Services (“Fund Services”), an indirect subsidiary of U.S.

Bancorp, serves as the Fund’s fund accountant, administrator

and transfer agent pursuant to certain fund accounting servicing, fund administration servicing and transfer agent servicing agreements.

Bank National Association, a subsidiary of U.S.

Bancorp and parent company of Fund Services, intends

to serve as the Fund’s custodian pursuant to a custody agreement.

The Marketing Agent

Foreside Fund Services, LLC (the “Marketing

Agent”) serves as the Marketing Agent of the Funds.

Bancorp and parent company of Fund Services, intends to serve as the Fund’s

custodian pursuant to a custody agreement.

Marketing Agent

Fund Services, LLC (the “Marketing Agent”) serves as the Marketing Agent of the Funds.

Its principal duties are:

(i) to work with the Transfer Agent to review and

approve orders placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations of Creation

Unit creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications

links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable

SEC and FINRA advertising rules.

The Marketing Agent retains all marketing materials

separately for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine 04101.

As compensation for the services it provides,

the Marketing Agent receives a fee from the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds

over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge its Management

Fee in the first year of operations of a Fund in an amount equal to the offering costs.

Normal and expected expenses incurred in connection

with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time

to time, but only in one or more Creation Units.

A Creation Unit is a block of at least 10,000 Shares of a Fund.

Creation Units may be

created or redeemed only by Authorized Participants.

Except when aggregated in Creation Units, the

Shares are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from

or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker.

some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on

purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased

or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook.

a purchase order, an Authorized Participant agrees to:

with the Transfer Agent to review and approve orders placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain

copies of confirmations of Creation Unit creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access

to direct computer communications links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials

for compliance with applicable SEC and FINRA advertising rules.

Marketing Agent retains all marketing materials separately for the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland,

compensation for the services it provides, the Marketing Agent receives a fee from the Funds.

6 – OFFERING COSTS

costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs.

and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations

will be paid by the Sponsor.

7 – CREATION AND REDEMPTION OF CREATION UNITS

Fund issues and redeems shares from time to time, but only in one or more Creation Units.

A Creation Unit is a block of at least 10,000

Shares of a Fund.

Creation Units may be created or redeemed only by Authorized Participants.

when aggregated in Creation Units, the Shares are not redeemable securities.

Retail investors, therefore, generally will not be able

to purchase or redeem Shares directly from or with a Fund.

Rather, most retail investors will purchase or sell Shares in the secondary

market with the assistance of a broker.

Thus, some of the information contained in these Notes to Financial Statements—such as

references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Fees on Creation and Redemption Transactions

manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized

Participant Procedures Handbook.

By placing a purchase order, an Authorized Participant agrees to:

(1) deposit cash with the Custodian;

and (2) if permitted by the Sponsor in its

sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund

whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near

the closing settlement price for such contracts on the purchase order date.

and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position

or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded

futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fee up to 0.03 %

1 unchanged sentence

Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units

and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted

by the Sponsor.

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the

transaction fee.

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors

in the secondary market.

and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted by

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the

secondary market.

Transaction Fees for the year ended December 31, 2025 and

2 unchanged sentences

2x Long VIX Futures ETF

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding throughout the Year Ended December 31, 2024 (Unaudited) and December 31, 2023 (Unaudited)

8 – FINANCIAL HIGHLIGHTS

data is for a Share outstanding throughout the year ended December 31, 2025 and December 31, 2024:

-1x Short VIX

10 unchanged sentences

Expense ratio (5)

Net Investment Loss

(1) Net investment loss per share represents net investment loss

divided by the daily average shares of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts

may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable

primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(4) Percentages are not annualized for the periods ended December

31, 2024 and December 31, 2023.

(5) The expense ratio would be 1.67 % and 2.36 % respectively, for

the year ended December 31, 2024 and 1.93 % and 2.18 % for the year ended December 31, 2023 if brokerage commissions and futures and futures

account fees were excluded.

(6) Adjusted to reflect a 1:10 reverse stock split occurring on January 15, 2025, as if it occurred at the commencement of operations.

(7) Adjusted to reflect a 1:5 reverse stock split on January 25, 2023, a 1:10 reverse stock split on October 11, 2023,

and a 1:10 reverse stock split on January 15, 2025, as if they occurred at the commencement of operations.

See accompanying notes to financial statements.

NOTE 8 – RISK

Correlation and Compounding Risk

The Funds do not seek to achieve their stated

investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually

will differ in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for

A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time

even if the performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing,

the benchmark’s volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and

losses and income to the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce

the principal amount invested from which the subsequent period’s returns are calculated.

The effects of compounding will likely

cause the performance of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will

impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the benchmark

during the holding period of an investment in the Fund.

Longer holding periods, higher benchmark volatility, inverse exposure and greater

leverage each affect the impact of compounding on a Fund’s returns.

Daily compounding of a Fund’s investment returns can

dramatically and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important

to a Fund’s return for a period as the return of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce daily

returns that are more volatile than that of its benchmark.

For example, the daily return of UVIX should be approximately two times as

volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark.

The daily return of SVIX is designed

to return the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark.

Funds are not appropriate for all investors and present significant risks not applicable to other types of funds.

The Funds use

leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage.

An investor should only consider

an investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results.

who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment

objectives, there is no guarantee they will do so.

Factors that may affect a Fund’s ability to meet its investment objective include:

(1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective;

an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

Net Investment Income (Loss)

(1) Net investment income (loss) per share represents net investment income (loss) divided by the daily average shares

of beneficial interest outstanding during the period.

(2) Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

(3) Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(4) Percentages are not annualized for the periods ended December 31, 2025 and December 31, 2024.

(5) The expense ratio would be 1.84 % and 2.07 % respectively, for the year ended December 31, 2025 and 1.67 % and 2.36 % for the year ended December 31, 2024 if brokerage commissions and futures and futures account fees were excluded.

(6) For 2x Long VIX Futures ETF, financial highlights have been adjusted to reflect a 1:

10 reverse stock split occurring on January 15, 2025 as if it occurred at the commencement of operations.

accompanying notes to financial statements.

and Compounding Risk

Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV

calculation time to NAV calculation time).

The return of a Fund for a period longer than a single day is the result of its return for

each day compounded over the period and usually will differ in amount and possibly even direction from the inverse (-1x) or two times

(2x) the return of the Fund’s benchmark for the period.

A Fund will lose money if its benchmark performance is flat over time,

and it is possible for a Fund to lose money over time even if the performance of its benchmark increases in the case of UVIX (or decreases

in the case of SVIX), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors.

is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time.

Gains or losses

experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns

are calculated.

The effects of compounding will likely cause the performance of a Fund to differ from the Fund’s stated multiple

times the return of its benchmark for the same period.

The effect of compounding becomes more pronounced as benchmark volatility and

holding period increase.

The impact of compounding will impact each shareholder differently depending on the period of time an investment

in a Fund is held and the volatility of the benchmark during the holding period of an investment in the Fund.

Longer holding periods,

higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns.

compounding of a Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of

high volatility.

Volatility may be at least as important to a Fund’s return for a period as the return of the Fund’s underlying

Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark.

For example, the daily return

of UVIX should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same

The daily return of SVIX is designed to return the inverse (-1x) of the return that would be expected of a fund with an objective

of matching the same benchmark.

The Funds are not appropriate for all investors and present significant risks not applicable to

other types of funds.

The Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use

An investor should only consider an investment in a Fund if he or she understands the consequences of seeking daily leveraged

or daily inverse investment results.

Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently

the Funds seek to meet their investment objectives, there is no guarantee they will do so.

Factors that may affect a Fund’s ability

to meet its investment objective include:

(1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that

correlates to a Fund’s objective;

(2) an imperfect correlation between the performance of Financial Instruments held by a Fund

and the performance of the applicable benchmark;

(3) bid-ask spreads on such Financial Instruments;

(4) fees, expenses, transaction costs, financing costs associated with the use of

Financial Instruments and commission costs;

(5) holding or trading instruments in a market that has become illiquid or disrupted;

(4) fees, expenses, transaction costs,

financing costs associated with the use of Financial Instruments and commission costs;

(5) holding or trading instruments in a market

that has become illiquid or disrupted;

(6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology;

(7) changes to a benchmark Index that are

not disseminated in advance;

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies

or regulatory or tax law requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting

in the inability of the Fund to execute intended portfolio transactions;

(10) accounting standards;

and (11) differences caused by a

Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components

of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Fund’s

ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree

of correlation.

Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective.

to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep

exposure consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark may prevent such Funds

from achieving a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts of assets into or out of

the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust

exposure to requisite levels.

The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during

Other things being equal, more significant movement in the value of its benchmark up or down will require more significant

adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as

applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days

when the benchmark levels are volatile near the close of the trading day.

Each Fund seeks to rebalance its portfolio on

a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions

and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance their portfolios as frequently, each

Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure

to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements

and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve

their respective investment objectives.

The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets

and have only recently become subject to comprehensive regulation in the United States.

Cash-settled forwards are generally regulated

as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other

than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title

VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible

for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements

are largely in place.

The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage,

including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

Title VII also created new categories of regulated

market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,”

and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping,

reporting, disclosure, business conduct and other regulatory requirements.

The regulatory requirements under Title VII continue to be

developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades

and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all

of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection of CFTC

regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements

or forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain circumstances,

including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of

the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation

in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives, the Funds will be subject to the credit

risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject

to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part

of that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations

due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment

in a Fund may decline.

The Funds have sought to mitigate these risks

by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily,

subject to certain minimum thresholds.

However, there are no limitations on the percentage of assets each Fund may invest in swap agreements

or forward contracts with a particular counterparty.

To the extent any such collateral is insufficient or there are delays in accessing

the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as

a result of bankruptcy proceedings.

The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized

by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and

conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such

as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various conditions,

events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms

of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal

to the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday

move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close

out the transaction with the Fund.

In that event, it may not be possible for the Fund to enter into another swap or to invest in other

Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective.

This, in turn, may prevent

the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its

intraday move by the end of the day.

In addition, cleared derivatives benefit from

daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent

the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which

are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

Cleared swap customer

collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions

but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer

For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is

only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting

cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house

may access all of the commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered into directly between

two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered

as a “swap dealer” with the CFTC.

This exposes the Funds to the risk that a counterparty will not settle a transaction in

accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of

a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance

of its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers

the addition of new counterparties and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio

holdings as of the prior Business Day.

Each Fund’s portfolio holdings identifies its counterparties, as applicable.

This portfolio

holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

Each counterparty and/or any of its affiliates

may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives

transactions is generally lower than for OTC derivatives.

Once a transaction is cleared, the clearing organization is substituted and

is a Fund’s counterparty on the derivative.

The clearing organization guarantees the performance of the other side of the derivative.

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations

Leverage Risk

The Funds may utilize leverage in seeking to achieve

their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives

than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an

investor’s investment, even over periods as short as a single day.

For example, because UVIX includes a two times

(2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss

or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which

an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion

of the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund or upward

single-day or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than zero at

Liquidity Risk

Financial Instruments cannot always be liquidated

at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell

orders in a market.

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty

at a reasonable cost.

(7) changes to a benchmark Index that are not disseminated in advance;

(8) the need to conform a Fund’s portfolio holdings to comply

with investment restrictions or policies or regulatory or tax law requirements;

(9) early and unanticipated closings of the markets on

which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions;

(10) accounting

and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark,

over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee

that a Fund will achieve a high degree of correlation.

Failure to achieve a high degree of correlation may prevent a Fund from achieving

its investment objective.

In order to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance

their portfolios daily to keep exposure consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark

may prevent such Funds from achieving a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts

of assets into or out of the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such

Funds’ ability to adjust exposure to requisite levels.

The target amount of portfolio exposure is impacted dynamically by the benchmarks’

movements during each day.

Other things being equal, more significant movement in the value of its benchmark up or down will require

more significant adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e.,

--1x, -2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher

on days when the benchmark levels are volatile near the close of the trading day.

Fund seeks to rebalance its portfolio on a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day

to day depending upon market conditions and other circumstances at the discretion of the Sponsor.

Unlike other funds that do not rebalance

their portfolios as frequently, each Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order

to maintain appropriate exposure to the underlying benchmarks.

Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”)

in the manner described herein as a means to achieve their respective investment objectives.

The use of derivatives by a Fund exposes

the Fund to counterparty risks.

are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States.

forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation

(in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation

of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be

made effective, but the CFTC requirements are largely in place.

The CFTC requirements have included rules for some of the types of transactions

in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps.

Title VII also

created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,”

“major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant

new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements.

The regulatory requirements

under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds,

the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore,

may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection

with each Fund’s swap agreements or forward contracts.

The lack of regulation in these markets could expose investors to significant

losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Funds will be subject to the credit risk of the counterparties to the derivatives.

In the case of cleared derivatives, the Funds will

have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts.

In the case of OTC derivatives,

the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives

entered into as part of that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform

its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s

investment in a Fund may decline.

Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the

benefit of the Fund, marked to market daily, subject to certain minimum thresholds.

However, there are no limitations on the percentage

of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty.

To the extent any such collateral

is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including

possible delays in recovering amounts as a result of bankruptcy proceedings.

The Funds typically enter into transactions only with major

global financial institutions.

derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded

on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties

and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.

These agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of

certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and

request immediate payment in an amount equal to the net positions owed to the party under the agreement.

For example, if the level of

the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the

swap may permit the counterparty to immediately close out the transaction with the Fund.

In that event, it may not be possible for the

Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with

the Fund’s objective.

This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of

the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable

to intermediaries.

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared

swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps

transactions.

Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated

funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker

or clearing broker customer default.

For example, in the event of a default of both the clearing broker and a customer of the clearing

broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled)

account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under

which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered

into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity

that is not registered as a “swap dealer” with the CFTC.

This exposes the Funds to the risk that a counterparty will not

settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not

bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality.

the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time.

day, the Funds disclose their portfolio holdings as of the prior Business Day.

Each Fund’s portfolio holdings identifies its counterparties,

as applicable.

This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.volatilityshares.com.

counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives.

Once a transaction is cleared, the

clearing organization is substituted and is a Fund’s counterparty on the derivative.

The clearing organization guarantees the performance

of the other side of the derivative.

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its

members, will satisfy its obligations to a Fund.

Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments

adverse to their respective daily investment objectives than funds that do not employ leverage.

The use of leveraged and/or inverse leveraged

positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

example, because UVIX includes a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point

in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the

investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite

direction, eliminating all or a portion of the movement.

This would be the case with downward single-day or intraday movements in the

underlying benchmark of a Fund or upward single-day or intraday movements in the benchmark of a Fund, even if the underlying benchmark

maintains a level greater than zero at all times.

Instruments cannot always be liquidated at the desired price.

It is difficult to execute a trade at a specific price when there is a

relatively small volume of buy and sell orders in a market.

A market disruption can also make it difficult to liquidate a position or

find a swap or forward contract counterparty at a reasonable cost.

Market illiquidity may cause losses for the Funds.

The large size of the positions which the Funds may acquire

increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while

trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically

invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

The Funds typically hold futures contracts.

the futures contracts near expiration, they are generally replaced by contracts that have a later expiration.

Thus, for example, a contract

purchased and held in November 2019 may specify a January 2020 expiration.

As that contract nears expiration, it may be replaced by selling

the January 2020 contract and purchasing the contract expiring in March 2020.

This process is referred to as “rolling.” Rolling

may have a positive or negative impact on performance.

For example, historically, the prices of certain types of futures contracts have

frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred

to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place

at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling.

While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not

exist in these markets at all times.

Since the introduction of VIX futures contracts,

there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time.

This can result

in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely affect

the value of a Fund and, accordingly, decrease the return of a Fund.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes,

fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics

and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have

recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster and health

crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns,

social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding

results on the operating performance of the Funds and their investments.

A climate of uncertainty and panic, including the contagion

of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential

investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing

the accuracy of financial projections.

Under these circumstances, the Funds may have difficulty achieving their investment objectives

which may adversely impact performance.

Further, such events can be highly disruptive to economies and markets, significantly disrupt

the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors,

industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment,

and other factors affecting the value of the Funds’ investments.

These factors can cause substantial market volatility, exchange

trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance

and Fund trading in the secondary market.

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen

at the current time.

How long such events will last and whether they will continue or recur cannot be predicted.

Impacts from these events

could have significant impact on a Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations Could Become Outdated

As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain

the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic

activity in some instances has essentially ceased.

Financial markets across the globe are experiencing severe distress at least equal

to what was experienced during the global financial crisis in 2008.

The large size

of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate

and increasing the losses incurred while trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to

the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

and “Backwardation” Risk

Funds typically hold futures contracts.

As the futures contracts near expiration, they are generally replaced by contracts that have

a later expiration.

Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration.

contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020.

This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance.

For example, historically,

the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts

with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the

sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased,

thereby creating a gain in connection with rolling.

While certain types of futures contracts have historically exhibited consistent periods

of backwardation, backwardation will likely not exist in these markets at all times.

the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility

levels further out in time.

This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average

maturity of the applicable Fund benchmark.

Losses from exchanging a lower priced VIX future for a higher priced longer-term future in

the rolling process could adversely affect the value of a Fund and, accordingly, decrease the return of a Fund.

Disaster/Epidemic Risk

or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally,

and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly

disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market

Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result

in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply

chains affected, with potential corresponding results on the operating performance of the Funds and their investments.

A climate of uncertainty

and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and

reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling

market conditions, potentially reducing the accuracy of financial projections.

Under these circumstances, the Funds may have difficulty

achieving their investment objectives which may adversely impact performance.

Further, such events can be highly disruptive to economies

and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and

third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation

rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments.

These factors can cause

substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions

and otherwise affect Fund performance and Fund trading in the secondary market.

A widespread crisis may also affect the global economy

in ways that cannot necessarily be foreseen at the current time.

How long such events will last and whether they will continue or recur

cannot be predicted.

Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your

that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments

taking extreme actions to slow and contain the spread of COVID-19.

These actions have had, and likely will continue to have, a severe

economic impact on global economies as economic activity in some instances has essentially ceased.

Financial markets across the globe

are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008.

In March 2020, U.S.

equity markets entered a bear market in the fastest

such move in the history of U.S.

equity markets entered a bear market in the fastest such move in the history of U.S.

financial markets.

Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced

shocks to supply and demand, impacting the price and volatility of oil.

The global economic shocks being experienced as of the date hereof

may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant

NOTE 9 – SUBSEQUENT EVENTS

In preparing these financial statements, management

has evaluated Fund related events and transactions for potential recognition or disclosure through the date the financial statements

There were no other events or translations that occurred during the year that materially impacted the amounts or disclosures

in the Funds’ financial statements.

Contemporaneous with the onset

of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil.

economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become

outdated quickly or inaccurate, resulting in significant losses.

10 – SUBSEQUENT EVENTS

preparing these financial statements, management has evaluated Fund related events and transactions for potential recognition or disclosure

through the date the financial statements were issued.

There were no other events or translations that occurred during the year that

materially impacted the amounts or disclosures in the Funds’ financial statements.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 9A. Controls and Procedures